Sökning: "Black-Scholes"

Visar resultat 21 - 25 av 102 uppsatser innehållade ordet Black-Scholes.

  1. 21. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Sveder; Edvard Johansson; [2015-07-13]
    Nyckelord :Credit Default Index Swaptions; Options on CDS Indices; Credit Derivatives; Credit Default Swap; Credit Default Swaption; Credit Default Index Swap; Credit Risk; Credit Risk Modelling; Intensity-based Mod- elling; Black-Scholes;

    Sammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presentsrelevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyerright to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER

  2. 22. Irreversible Investments under Uncertainty and Inside-ownership. Real Option Approach in a Reduced Form Hazard Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Magnus Brandt; Jesper Börjesson; [2015-07-13]
    Nyckelord :Real options; irreversibility; hazard model; inside-ownership; systematic risk; idiosyncratic risk;

    Sammanfattning : This thesis investigates the probability of making a marginal investment in 33 Swedish Large Cap firms from 2005 to 2015. We use marginal rate of return as a trigger event in an option to delay. This is then examined in a reduced form hazard model using the Black & Scholes option parameters. LÄS MER

  3. 23. A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Benjamin Kraska; [2015]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other models and financial products. LÄS MER

  4. 24. Implementation of Heston-Nandi GARCH model on OMXS30

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Oscar Sjögren; Jakob Bengtsson Ekström; [2015]
    Nyckelord :Financial Crisis; Heston and Nandi; HN-GARCH; OMXS30; Option Pricing.; Business and Economics;

    Sammanfattning : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. LÄS MER

  5. 25. Option Pricing in Discrete Time and Connections between the Binomial Model and Black-Scholes Model

    Kandidat-uppsats, Uppsala universitet/Analys och sannolikhetsteori

    Författare :Elin Sjödin; [2015]
    Nyckelord :;

    Sammanfattning : .... LÄS MER